A decomposition clustering ensemble learning approach for forecasting foreign exchange rates

• 来源期刊: 管理科学学报（英文版）
• 关键词: Exchange rates forecasting Variational mode decomposition Kernel extreme learning machine Self-organizing map Decomposition ensemble learning
• 年，卷（期）: 2019,（1）
• 页码范围: 45-54
• 页数: 10页
• 语种: 中文

摘要

A decomposition clustering ensemble (DCE) learning approach is proposed for forecasting foreign exchange rates by integrating the variational mode decomposition (VMD),the selforganizing map (SOM) network,and the kemel extreme leaming machine (KELM).First,the exchange rate time series is decomposed into N subcomponents by the VMD method.Second,each subcomponent series is modeled by the KELM.Third,the SOM neural network is introduced to cluster the subcomponent forecasting results of the in-sample dataset to obtain cluster centers.Finally,each cluster's ensemble weight is estimated by another KELM,and the final forecasting results are obtained by the corresponding clusters'ensemble weights.The empirical results illustrate that our proposed DCE learning approach can significantly improve forecasting performance,and statistically outperform some other benchmark models in directional and level forecasting accuracy.